Backtest Portfolio Asset Allocation

This portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs, and stocks. You can analyze and backtest portfolio returns, risk characteristics, style exposures, and drawdowns. The results cover both returns and fund fundamentals based portfolio style analysis along with risk and return decomposition by each portfolio asset. You can compare up to three different portfolios against the selected benchmark, and you can also specify any periodic contribution or withdrawal cashflows and the preferred portfolio rebalancing strategy.

The related asset class level portfolio modeling tool allows you to analyze and compare asset class level portfolios with a longer time horizon starting from 1972.

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Portfolio Assets 
Asset 1
Asset 2
Asset 3
Asset 4
Asset 5
Asset 6
Asset 7
Asset 8
Asset 9
Asset 10
Asset 11
Asset 12
Asset 13
Asset 14
Asset 15

Portfolio Analysis Results (Jan 2019 - Jul 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
MCD McDonald's Corporation 9.10%
LLY Eli Lilly and Company 9.09%
VLO Valero Energy Corporation 9.09%
KAR KAR Auction Services, Inc 9.09%
FAF First American Corporation 9.09%
IDA IDACORP, Inc. 9.09%
FHI Federated Hermes Inc 9.09%
SCCO Southern Copper Corporation 9.09%
LM Legg Mason, Inc. 9.09%
WDR Waddell & Reed Financial, Inc. 9.09%
BSIG BrightSphere Investment Group PLC 9.09%
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Portfolio 2
Ticker Name Allocation
HDV iShares Core High Dividend ETF 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$12,089 12.73% 23.45%23.21%-1.89%-23.58% 0.560.800.96
Portfolio 2$10,000$10,451 2.83% 21.48%20.23%-13.07%-26.06%

Trailing Returns

Trailing Returns
Name3 MonthYTD1 yearFull
Portfolio 111.30%-1.89%-0.19%12.73%
Portfolio 22.89%-13.07%-8.04%2.83%
Trailing returns are for full months ending in July 2020 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The annual results for 2020 are based on monthly returns from January to July
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • The results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceMcDonald's Corporation (MCD)Eli Lilly and Company (LLY)Valero Energy Corporation (VLO)KAR Auction Services, Inc (KAR)First American Corporation (FAF)IDACORP, Inc. (IDA)Federated Hermes Inc (FHI)Southern Copper Corporation (SCCO)Legg Mason, Inc. (LM)Waddell & Reed Financial, Inc. (WDR)BrightSphere Investment Group PLC (BSIG)iShares Core High Dividend ETF (HDV)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceMcDonald's Corporation (MCD)Eli Lilly and Company (LLY)Valero Energy Corporation (VLO)KAR Auction Services, Inc (KAR)First American Corporation (FAF)IDACORP, Inc. (IDA)Federated Hermes Inc (FHI)Southern Copper Corporation (SCCO)Legg Mason, Inc. (LM)Waddell & Reed Financial, Inc. (WDR)BrightSphere Investment Group PLC (BSIG)iShares Core High Dividend ETF (HDV)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightReturn ContributionRisk Contribution
MCDMcDonald's CorporationConsumer Cyclical / Restaurants9.10%$1235.89%
LLYEli Lilly and CompanyHealthcare / Drug Manufacturers - General9.09%$3200.04%
VLOValero Energy CorporationEnergy / Oil & Gas Refining & Marketing9.09%-$15217.97%
KARKAR Auction Services, IncConsumer Cyclical / Specialty Retail9.09%-$11013.27%
FAFFirst American CorporationFinancial Services / Insurance - Specialty9.09%$1899.10%
IDAIDACORP, Inc.Utilities / Utilities - Regulated Electric9.09%$31.993.29%
FHIFederated Hermes IncFinancial Services / Asset Management9.09%$49.6012.63%
SCCOSouthern Copper CorporationBasic Materials / Copper9.09%$4789.96%
LMLegg Mason, Inc.Financial Services / Asset Management9.09%$8960.16%
WDRWaddell & Reed Financial, Inc.Financial Services / Asset Management9.09%-$10711.73%
BSIGBrightSphere Investment Group PLCFinancial Services / Asset Management9.09%$37115.94%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
HDViShares Core High Dividend ETFLarge Value100.00%0.08%19.30$451100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 10/27/2020. (c) 2020 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)1.23%0.42%
Arithmetic Mean (annualized)15.77%5.13%
Geometric Mean (monthly)1.00%0.23%
Geometric Mean (annualized)12.73%2.83%
Volatility (monthly)6.77%6.20%
Volatility (annualized)23.45%21.48%
Downside Deviation (monthly)4.70%4.40%
Max. Drawdown-23.58%-26.06%
US Market Correlation0.960.96
Alpha (annualized)-7.00%-14.85%
Sharpe Ratio0.560.16
Sortino Ratio0.800.22
Treynor Ratio (%)12.373.53
Active Return-7.16%-17.06%
Tracking Error6.66%6.15%
Information Ratio-1.08-2.77
Excess Kurtosis2.651.72
Historical Value-at-Risk (5%)-17.48%-14.39%
Analytical Value-at-Risk (5%)-10.17%-9.78%
Conditional Value-at-Risk (5%)N/AN/A
Upside Capture Ratio (%)89.9166.10
Downside Capture Ratio (%)112.64117.00
Safe Withdrawal Rate100.00%100.00%
Perpetual Withdrawal Rate14.69%1.32%
Positive Periods15 out of 19 (78.95%)12 out of 19 (63.16%)
Gain/Loss Ratio0.440.70
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 months-23.58%
2May 2019May 20191 monthJun 20191 month2 months-7.07%
3Aug 2019Aug 20191 monthOct 20192 months3 months-3.20%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 months-26.06%
2May 2019May 20191 monthSep 20194 months5 months-6.17%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
MCDMcDonald's Corporation8.34%21.85%13.97%-0.39%-23.16%0.400.570.71
LLYEli Lilly and Company20.38%22.75%16.15%15.48%-15.57%0.861.460.03
VLOValero Energy Corporation-12.81%58.30%30.36%-38.25%-52.25%
KARKAR Auction Services, Inc-8.05%46.12%24.25%-29.53%-53.71%
FAFFirst American Corporation11.92%31.23%34.61%-11.21%-32.45%0.470.630.83
IDAIDACORP, Inc.2.60%18.79%17.69%-11.50%-21.27%
FHIFederated Hermes Inc2.99%42.00%27.06%-17.53%-47.04%0.260.340.80
SCCOSouthern Copper Corporation31.19%36.70%46.64%4.81%-32.88%0.881.430.81
LMLegg Mason, Inc.59.08%31.42%47.32%41.57%-7.09%1.596.41-0.08
WDRWaddell & Reed Financial, Inc.-6.28%40.87%-1.83%-8.09%-36.35%-0.01-0.020.68
BSIGBrightSphere Investment Group PLC19.56%60.61%33.86%-0.87%-54.43%0.550.930.64
HDViShares Core High Dividend ETF2.83%21.48%20.23%-13.07%-26.06%

Monthly Correlations

Correlations for the portfolio assets
MCDMcDonald's Corporation1.000.060.530.740.650.770.830.38-0.080.570.270.730.740.73
LLYEli Lilly and Company0.061.000.02-0.21-0.300.100.000.12-0.580.
VLOValero Energy Corporation0.530.021.000.730.730.410.570.71-0.010.620.440.910.850.91
KARKAR Auction Services, Inc0.74-0.210.731.000.690.520.650.490.070.520.350.760.790.76
FAFFirst American Corporation0.65-0.300.730.691.000.580.720.460.170.420.420.740.800.74
IDAIDACORP, Inc.0.770.100.410.520.581.000.590.26-0.320.20-0.010.590.480.59
FHIFederated Hermes Inc0.830.000.570.650.720.591.000.53-0.130.700.490.770.830.77
SCCOSouthern Copper Corporation0.380.120.710.490.460.260.531.00-0.290.500.700.810.750.81
LMLegg Mason, Inc.-0.08-0.58-
WDRWaddell & Reed Financial, Inc.0.570.260.620.520.420.200.700.50-
BSIGBrightSphere Investment Group PLC0.270.020.440.350.42-0.010.490.700.050.671.000.530.730.53
HDViShares Core High Dividend ETF0.730.090.910.760.740.590.770.81-0.180.700.531.000.921.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
MCDMcDonald's Corporation$123
LLYEli Lilly and Company$320
VLOValero Energy Corporation-$152
KARKAR Auction Services, Inc-$110
FAFFirst American Corporation$189
IDAIDACORP, Inc.$31.99
FHIFederated Hermes Inc$49.60
SCCOSouthern Copper Corporation$478
LMLegg Mason, Inc.$896
WDRWaddell & Reed Financial, Inc.-$107
BSIGBrightSphere Investment Group PLC$371
HDViShares Core High Dividend ETF$451

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
MCDMcDonald's Corporation5.89%
LLYEli Lilly and Company0.04%
VLOValero Energy Corporation17.97%
KARKAR Auction Services, Inc13.27%
FAFFirst American Corporation9.10%
FHIFederated Hermes Inc12.63%
SCCOSouthern Copper Corporation9.96%
LMLegg Mason, Inc.0.16%
WDRWaddell & Reed Financial, Inc.11.73%
BSIGBrightSphere Investment Group PLC15.94%
HDViShares Core High Dividend ETF100.00%

Annual Asset Returns